Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.1285 |
| Annualized Std Dev | 0.1945 |
| Annualized Sharpe (Rf=0%) | -0.6607 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3711.0000 |
| NAs | 1.0000 |
| Minimum | -0.1113 |
| Quartile 1 | -0.0055 |
| Median | -0.0007 |
| Arithmetic Mean | -0.0005 |
| Geometric Mean | -0.0005 |
| Quartile 3 | 0.0038 |
| Maximum | 0.1266 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0009 |
| UCL Mean (0.95) | -0.0001 |
| Variance | 0.0002 |
| Stdev | 0.0123 |
| Skewness | 0.0285 |
| Kurtosis | 15.5496 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0085 |
| Gain Deviation | 0.0101 |
| Loss Deviation | 0.0092 |
| Downside Deviation (MAR=210%) | 0.0138 |
| Downside Deviation (Rf=0%) | 0.0087 |
| Downside Deviation (0%) | 0.0087 |
| Maximum Drawdown | 0.9013 |
| Historical VaR (95%) | -0.0165 |
| Historical ES (95%) | -0.0282 |
| Modified VaR (95%) | -0.0167 |
| Modified ES (95%) | -0.0167 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-11-21 | 2021-03-17 | NA | -0.9013 | 3102 | 3099 | NA |
| 2006-07-18 | 2007-10-09 | 2008-09-17 | -0.2199 | 547 | 310 | 237 |
| 2008-10-28 | 2008-11-04 | 2008-11-20 | -0.1643 | 18 | 6 | 12 |
| 2008-10-13 | 2008-10-13 | 2008-10-24 | -0.1029 | 10 | 1 | 9 |
| 2008-09-18 | 2008-09-19 | 2008-10-03 | -0.0687 | 12 | 2 | 10 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | -0.2 | 0.8 | -0.6 | 0.4 | 0.4 | 0.3 | 0.2 | 1.3 |
| 2007 | -0.4 | 0.3 | 0.1 | -0.6 | -0.2 | 0 | -1.2 | -0.7 | -1.2 | 2.6 | -0.7 | 1 | -1.2 |
| 2008 | -1.3 | 1.8 | -3 | -1.4 | 0 | -0.2 | 0.6 | 1.4 | 0.3 | -0.6 | 7.6 | -1.3 | 3.7 |
| 2009 | 1.8 | 1.4 | -2.2 | -0.6 | -2 | -0.4 | -0.2 | 2.1 | 2.1 | 2.5 | -1.1 | 1.1 | 4.2 |
| 2010 | -1.2 | -0.8 | -0.7 | 1.5 | 1 | 0.5 | 0 | -2.6 | -0.4 | 0 | -2.2 | -0.1 | -5.2 |
| 2011 | -1.2 | 1.5 | -0.5 | -0.7 | 2.2 | -1.4 | 0.1 | 1 | 2 | 2.4 | 0 | 0.5 | 6.1 |
| 2012 | -0.6 | -0.4 | -0.6 | -0.5 | 2.2 | -2.2 | 0.3 | -0.8 | -0.5 | -1 | 0 | -1.4 | -5.3 |
| 2013 | -1 | -0.3 | 0 | 0.9 | 1.3 | -0.5 | -0.7 | 0.3 | -0.4 | -0.4 | 0 | -0.5 | -1.2 |
| 2014 | 0.9 | -0.3 | -0.4 | 0.1 | -0.2 | -0.8 | 0.5 | -0.1 | 1.4 | -1 | 0.3 | 0.8 | 1.3 |
| 2015 | 1.4 | 0.4 | 0.5 | -1 | -0.1 | -0.9 | 0.3 | 2.8 | 0 | 0.6 | -0.9 | 1 | 4.4 |
| 2016 | 0.1 | -2.1 | -0.6 | 0.4 | 0 | -0.1 | 0.1 | -0.1 | -0.8 | 0.6 | -0.4 | 0.3 | -2.6 |
| 2017 | -0.1 | -1.3 | 0.2 | 0.1 | -0.6 | -0.2 | -0.2 | -0.2 | -0.1 | -0.3 | 0.1 | 0.3 | -2.2 |
| 2018 | 0 | 1.6 | -1.4 | 0.3 | -0.9 | -0.2 | 0.3 | 0.1 | -0.8 | -1 | -0.7 | -1.1 | -3.7 |
| 2019 | -0.2 | -0.4 | -1.3 | 0.7 | 1.4 | -0.5 | 1 | -0.1 | 1.3 | -1 | 0.3 | -0.1 | 1 |
| 2020 | 2.1 | 1.1 | 4.4 | 2.4 | -0.4 | 0.1 | -0.4 | -1 | -0.2 | 0.6 | -0.6 | -0.5 | 7.7 |
| 2021 | -0.7 | -1.9 | 0.8 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -1.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-06-21 276. SPY 125. 0.0074 0.0122 -0.0089 -0.0412 0.0291 0.257 0.0247 GLD 58.3 0.018 0.0487
2 2006-06-22 278 SPY 124. -0.0044 -0.0132 -0.0057 -0.0434 0.0238 0.265 0.0214 GLD 57.7 -0.0103 0.0072
3 2006-06-23 279. SPY 124. -0.0002 -0.0017 -0.0137 -0.0443 0.0382 0.263 0.0262 GLD 58.0 0.0045 0.0054
4 2006-06-26 278. SPY 125. 0.0044 0.0107 -0.0215 -0.0387 0.0505 0.282 0.0263 GLD 58.3 0.005 0.0341
5 2006-06-27 281 SPY 124. -0.0086 -0.0015 -0.0348 -0.0411 0.0399 0.254 0.0121 GLD 57.7 -0.0103 0.0066
6 2006-06-28 280. SPY 125. 0.0068 -0.0021 -0.0107 -0.0406 0.0383 0.277 0.0075 GLD 57.5 -0.00240 -0.0135
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
